Rare event simulation via importance sampling for linear SPDE's
The current work is the first one (to the best knowledge of the authors) to address provably efficient importance sampling schemes for SPDEs that perform well both in the limit as the noise goes to zero, but in the prelimit as well, and that do not degrade in performance due to increased dimension. Efficient importance sampling Monte Carlo methods for the estimation of rare events within the class of linear stochastic partial differential equations are given. If a spectral gap of appropriate size exists, then one can identify a lower dimensional manifold where the rare event takes place. The theoretical results of this paper are demonstrated by a series of simulation studies.
- Rare event simulation of small noise diffusions
- Importance sampling in rare event simulation
- Rare event simulation for diffusion processes via two-stage importance sampling
- Variational approach to rare event simulation using least-squares regression
- Adaptive importance sampling with forward-backward stochastic differential equations
- A variational representation for certain functionals of Brownian motion
- A variational representation for positive functionals of infinite dimensional Brownian motion
- Escaping from an attractor: Importance sampling and rest points. I.
- Exit probabilities and optimal stochastic control
- Large deviations for infinite dimensional stochastic dynamical systems
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
- Random Perturbations of Dynamical Systems
- Stochastic Equations in Infinite Dimensions
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- A Koopman framework for rare event simulation in stochastic differential equations
- Adaptive importance sampling with forward-backward stochastic differential equations
- Rare event simulation for diffusion processes via two-stage importance sampling
- An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium
- Rare event simulation for multiscale diffusions in random environments
- Bounded Relative Error Importance Sampling and Rare Event Simulation
- Importance sampling for metastable and multiscale dynamical systems
- Asymptotically Efficient Simulation of Elliptic Problems with Small Random Forcing
- Rare event simulation of small noise diffusions
- scientific article; zbMATH DE number 2104318 (Why is no real title available?)
- Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
- Instanton based importance sampling for rare events in stochastic pdes
- Variational approach to rare event simulation using least-squares regression
- Efficient rare event simulation for failure problems in random media
- Analysis and simulation of rare events for SPDEs
- Importance sampling for the empirical measure of weakly interacting diffusions
- Consensus-based rare event estimation
- Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
- Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations in any space dimension
- Data-based importance sampling estimates for extreme events
- Rare events in stochastic partial differential equations on large spatial domains
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